AFIR-ERM Colloquium, Brussels, Belgium 1995 – International Actuarial Association

AFIR-ERM Colloquium, Brussels, Belgium
7-9 September 1995

Presenters	Presentations
ANDREW R. AZIZ and LIEZER Z. PRISMAN	After-Tax Term Structures of Real Interest Rates and Inflation Compensation: Inferences from the UK Index-Linked and Conventional Gilt Markets
Jean-Claude Augros	Empirical Validation of a Convertible Bond Valuation Model (French paper)
L. Assow, D. Khougazian & C. Chaussade	Structured Bonds Taking the Exotic Option
P. Ars and J. Janssen	Stochastic Model with Possibility of Ruin and Dividend Repartition for Insurance and Banks
P. Albrecht, R. Maurer & M. Timpel	A Shortfall Approach to the Evaluation of Risk and Return of Positions with Options
P. Albrecht, R. Maurer & T. G. Stephan	Return and Shortfall Risks of Rollover Hedge-Strategies with Options
P. Albrecht & H. Maurer	An Actuarial Approach to Risk Management with Cat Insurance Contracts
Harry Panjer	PRICING STRIKE PRICE AVERAGE OPTIONS
EDWIN H. NEAVE	A Frequency Distribution Method for Valuing Average Options
ESTHER NASS	Strategic Application of Financial Derivatives in the Investment Policy of Insurance Companies
Carlo Mottura	Pricing Interest Rate Insurance
Moshe-Arye Milevsky & Eliezer Z. Prisman	Is There a Tax-Induced January Effect in the Canadian Equity Options Market?
Vicente Meneu	Catastrophe Contracts: The Coverage of Extraordinary Risks and the Loss Ratio in Spain
GENNADY MEDVEDEV	Financial Safety Inequalities based on Expected Risk for Credit Institutions
M R KPLISG, M.A., I'.I.A.	The Effect Of Regulatory Change On The Distribution Of Life Assurance In The United Kingdom
J-Pi. JOUSSEAUME	Paradoxes in Option Pricing Calculations What if all of this were just an illusion...? (French paper )
WERNER HURLIMANN	On Binomial Models Of The Term Structure Of Interest Rates
WERNER HURLIMANN	Capital Asset Pricing Model (CAPM), Derivative Pricing, and Hedging (French paper )
GLEN HARRIS	Low-Frequency Statistical Models of Interest Rate
ADRIANA GNUDI	Pricing Puttable Bonds In The Italian Market
Hans Gerber	Actuarial Approach To Option Pricing
Jacques Janssen	Arbitrage And Hedging Of Derivatives (French Paper)
DK. PETER DVORAK AND DIRK OHLSEN	Practical Experiences Of Managing The Interest Rate Risks Tn A Life Insurance
RUDY DE WINNE	Interest Rate Diffusion Processes and Correction of Discretization Bias (French Paper)
RICHARD A. DERRIG	The Fuzzy Problem of Hedging the Tax Liability of a Property-Liability Insurance Company
GRISELDA DEIXS’IRA	A Covariance-Equivalent Discretisation of the CIR Model
GRISELDA DEELSTBA	Long-term Returns In Stochastic Interest RateModels: Applications
V. DARTESI, P. SEQUIER & J.SIKORAV	Are The International Bond Portfolios The Way To Get High Rewards For Low Risks ?
SAI,VATORE CORRENTI, and *JOHN C. SWEENEY	Inflation On Assets, Liabilities And Surplus For Property And Casualty Insurers
ROIWRT S CLARKSON	The Dynamics Of Interest Rate Movements And Some Observations On The Black-scholes Option Pricing Formula
ANDREW J.G. CAIRNS	Pension Funding In A Stochastic Environment:The Role Of Objectives In Selecting An Asset Allocation Strategy
PETER V BURDON,	Profiting From Bancassurance : Choostng The Right Route
LUDO BROSIUS	A Linear Programming Approach To Market Equilibrium With An Application To Financial Markets
JEAN-FRA~TCOIS BOULIER AND Arw KANNIGANTI	Expected Performance And Risks Of Various Portfolio Insurance Strategies
JEAN-FRAKCOIS BOULIER, ETIENNE TRUSSANT and DANIELE FLORENS	A Dynamic Model For Pension Funds Management
G.BOERO- C.TORRICELLI(	Comparative Evaluation Of Alternative Models Of The Term Structure Of Interest Rates
JEAN-FRA~TCOIS BOULIER AND Arw KANNIGANTI	Expected Performance And Risks Of Various Portfolio Insurance Strategies
DR. BARUCH BEIKI~ER,	Application Of Intervals Of Possibilities To Solvency
HANS-J• CHEN BARTELS	The Hypotheses Underlying The Pricing Of Options
A-~TILA BALATON, FRANCOK DELAVENNE	The Actuary and Investment Real Estate (French Paper)
PEh’TTI SOININEN	Stochastic Variation Of Interest AndMortality
MICHAEL SHERRIS	Interest Rate Risk Factors In The Australian Bond Market
JOAQUIM BEKNARD RIO, and MANUEL VILA CALSINA	Present Situation And Foreseeable Development Of Insurance Distribution Channels In Spain
FRANCOIS QUITTARD-PINON	Valuation of Interest Rate Derivatives by Arbitrage in the Martingale Framework
RICHARD D. PHILLIPS and David Cummins	Financial Pricing Of Insurance In The Multiple Line Insurance Company
SVEIN-AKNEPERSSON	Random Benefits And Stochastic Interest Rates In Life Insurance
HALW.PEDERSEN	Dynamic Spanning Of Contingent Claims
A.A.PATERSON	Immunization Is Dead. Long Live Immunization
CHRISTIAN WALTER	Levy-stability-under-addition And Fractal Structure Of Markets : Implications For The Actuaries And Emphasized Examination Of Matif National Contract
CESAR VILLAZdN	Reformulation Of The Theorem Of Immunisation Of The Yield Of A Fixed Income Portfolio
OAKLEY E. VAN SLYKE	A General Theory Of Finance
ROB THOMSON	A Methodology For The Modelling Of Interest Rates And Other Economic Variables With Reference To The Money And Capital Markets Of South Africa
Srrm TANAKA and Km INw	Modeling Japanese Financial Markets For Pension Alm Simulations

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